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Evaluating Portfolio Policies: A Duality Approach

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NBER2003-07-01 更新2025-01-04 收录
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The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable in which case a direct comparison is impossible. In this paper we solve this problem by using the

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2003-07-01
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